| Close | |
|---|---|
| Annualized Return | -0.0032 |
| Annualized Std Dev | 0.2253 |
| Annualized Sharpe (Rf=0%) | -0.0143 |
| Close | |
|---|---|
| Observations | 4707.0000 |
| NAs | 1.0000 |
| Minimum | -0.1281 |
| Quartile 1 | -0.0059 |
| Median | 0.0000 |
| Arithmetic Mean | 0.0001 |
| Geometric Mean | 0.0000 |
| Quartile 3 | 0.0058 |
| Maximum | 0.1816 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0003 |
| UCL Mean (0.95) | 0.0005 |
| Variance | 0.0002 |
| Stdev | 0.0142 |
| Skewness | 0.6877 |
| Kurtosis | 14.4692 |
| Close | |
|---|---|
| Semi Deviation | 0.0097 |
| Gain Deviation | 0.0117 |
| Loss Deviation | 0.0105 |
| Downside Deviation (MAR=210%) | 0.0146 |
| Downside Deviation (Rf=0%) | 0.0097 |
| Downside Deviation (0%) | 0.0097 |
| Maximum Drawdown | 0.5068 |
| Historical VaR (95%) | -0.0219 |
| Historical ES (95%) | -0.0328 |
| Modified VaR (95%) | -0.0162 |
| Modified ES (95%) | -0.0162 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2005-01-03 | 2008-12-17 | NA | -0.5068 | 3493 | 803 | NA |
| 2004-03-23 | 2004-05-24 | 2004-12-23 | -0.1973 | 155 | 37 | 118 |
| 1999-04-20 | 1999-10-25 | 2002-03-06 | -0.1774 | 607 | 105 | 502 |
| 2002-10-10 | 2002-10-25 | 2004-02-17 | -0.1126 | 256 | 11 | 245 |
| 1999-01-11 | 1999-01-26 | 1999-04-08 | -0.0735 | 46 | 9 | 37 |
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0.9 | 0.4 | 1.3 | 0 | 0.4 | 0.4 | -0.4 | -0.5 | 1.9 | -2.4 | 1 | 2.3 | 5.3 |
| 2000 | -1.8 | -0.9 | 1.4 | 0.5 | 1.5 | 0 | -0.5 | -0.5 | 0 | 0 | 0 | 1.4 | 1 |
| 2001 | 0 | 0 | 0 | 0.1 | 0.8 | 0.6 | 0.5 | 0.3 | 0.1 | 0.1 | -0.1 | -0.1 | 2.4 |
| 2002 | -0.7 | 0 | -0.3 | -0.6 | -0.9 | 0.3 | -0.2 | 0 | 0.5 | 0.8 | -0.6 | 0 | -1.7 |
| 2003 | 0.9 | 0.9 | 0.2 | -0.2 | -0.6 | 0.3 | -0.8 | 1.8 | -0.6 | 0.1 | 0 | -1 | 1 |
| 2004 | -1.8 | 0 | 0.1 | 0 | 0.3 | 0 | 0 | 1.3 | -0.2 | 0.1 | -0.8 | 0.3 | -0.9 |
| 2005 | -0.5 | 0.6 | 0 | -0.4 | 0.6 | -0.7 | -0.7 | -0.5 | -0.7 | 0.7 | -0.6 | -0.3 | -2.4 |
| 2006 | 0.3 | 0.2 | 0.6 | 0.7 | -0.6 | 1.6 | -2 | 0.7 | -0.1 | -0.1 | 0.1 | 0.6 | 1.8 |
| 2007 | 0.4 | -0.7 | -0.6 | 0 | -0.2 | 0.3 | -1.7 | -0.4 | 0.1 | -0.7 | 0.4 | -0.8 | -3.8 |
| 2008 | 0.9 | -0.5 | -0.6 | 0 | 0.3 | -0.7 | 0.4 | -2.4 | 0.4 | 8.5 | 0 | 11.1 | 18 |
| 2009 | -1.6 | 1.6 | 0 | 0.7 | 1.5 | -0.9 | -0.4 | -0.9 | -0.6 | -0.1 | 1.6 | 2.7 | 3.4 |
| 2010 | 0.7 | -0.1 | 1.4 | -0.6 | 0.5 | -1.2 | -1.2 | -0.5 | 1.9 | -0.4 | -0.1 | 1.4 | 2 |
| 2011 | 0.3 | 0.6 | -0.2 | 1.1 | 1.6 | 0.5 | 2.7 | -0.5 | 0.3 | 0.8 | -0.9 | -0.1 | 6.3 |
| 2012 | -0.2 | -0.2 | -0.2 | -0.8 | 1.2 | 0.2 | 0.7 | 0.4 | 0.8 | -0.6 | 1 | -0.6 | 1.7 |
| 2013 | 0.8 | -0.1 | -0.4 | 0.7 | -0.3 | 2.5 | 0.1 | -0.7 | -0.3 | -1.5 | 0.2 | -0.5 | 0.5 |
| 2014 | 0.9 | 1.3 | -1.1 | 1.5 | -0.3 | -1.2 | -1.6 | 1.3 | 0.9 | 2.6 | 0.3 | -0.6 | 4 |
| 2015 | -0.5 | 1.1 | 0.4 | -1.4 | 0.3 | 0.3 | 0.6 | 0.1 | 0.5 | 0.1 | -0.7 | 0.9 | 1.7 |
| 2016 | 1.3 | 1.1 | -0.3 | 0.6 | 2.9 | 2.8 | -0.7 | -0.1 | 1 | -2.8 | 0 | -0.5 | 5.4 |
| 2017 | -0.8 | 2.1 | 2 | 0.6 | -0.9 | -0.9 | 0 | 0.1 | 0.1 | -8.5 | 0.7 | -0.2 | -6 |
| 2018 | -0.8 | 1.5 | 0.8 | -0.7 | -0.1 | -0.4 | -0.2 | 0.1 | -1 | 2.3 | -0.6 | 0.2 | 0.9 |
| 2019 | 1 | 1 | 2.1 | -0.2 | 2.9 | 1.9 | -0.2 | 0.9 | 2.7 | 0.4 | 2.8 | 0 | 16.4 |
| 2020 | 1.5 | -0.7 | 0.8 | -2.4 | -1 | 1.6 | 0.2 | 1 | 1.4 | -5.1 | -0.2 | 0 | -3 |
| 2021 | 0.1 | 1.6 | -0.5 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.2 |
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 1999-01-04 15.2 SPY 123. NA NA NA NA NA NA NA <NA> NA NA NA
2 1999-01-07 15.2 SPY 127. -0.0049 NA NA NA NA NA NA <NA> NA NA NA
3 1999-01-08 15.3 SPY 128. 0.0074 NA NA NA NA NA NA <NA> NA NA NA
4 1999-01-11 15.1 SPY 127. -0.0095 0.0284 NA NA NA NA NA <NA> NA NA NA
5 1999-01-13 15 SPY 123. -0.007 -0.0319 NA NA NA NA NA <NA> NA NA NA
6 1999-01-14 14.9 SPY 121. -0.0175 -0.0441 NA NA NA NA NA <NA> NA NA NA
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>